Martingales and first passage times of AR(1) sequences

Details Martingales and first passage times of AR(1) sequences Martingales and first passage times of AR(1) sequences

2007-12-20

arxiv.org/abs/0712.3468v1

Mathematics

Probability

To appear in a Special Volume of Stochastics: An International Journal of Probability and Stochastic Processes (http://www.i

Scientific paper

Using the martingale approach we find sufficient conditions for exponential
boundedness of first passage times over a level for ergodic first order
autoregressive sequences (AR(1)). Further, we prove a martingale identity to be
used in obtaining explicit bounds for the expectation of first passage times.

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